Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 2.78 3.52 2.58
Market Cap (Millions USD) 895.79 903.46 933.25
Predicted Beta 1.94 1.93 1.89
Idiosyncratic Volatility 2.18 2.29 2.3

Annualized return and volatility

IYJ
Annualized Return 0.0669
Annualized Std Dev 0.2080
Annualized Sharpe (Rf=0%) 0.3216

Row

Daily Return Statistics

IYJ
Observations 4976.0000
NAs 138.0000
Minimum -0.0944
Quartile 1 -0.0053
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0065
Maximum 0.0891
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0131
Skewness -0.2245
Kurtosis 5.6392

Downside Risk

IYJ
Semi Deviation 0.0095
Gain Deviation 0.0092
Loss Deviation 0.0103
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.6197
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0321
Modified VaR (95%) -0.0205
Modified ES (95%) -0.0357
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-03-15 -0.6197 1135 364 771
2000-09-05 2002-10-09 2006-02-27 -0.4955 1400 534 866
2018-09-24 2018-12-24 2019-04-18 -0.2400 145 65 80
2015-03-03 2016-01-20 2016-04-19 -0.1527 289 227 62
2006-05-10 2006-08-09 2006-12-27 -0.1321 163 65 98

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYJ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA 2.3 0.7 0.0 3.3 0.0 0.0 6.5
2001 0.3 -0.5 0.0 0.1 -0.1 0.0 -0.6 0.0 -1.8 3.0 0.0 0.0 0.3
2002 -0.3 2.2 -0.1 0.7 0.0 -2.4 -2.0 0.0 4.4 1.7 0.0 0.0 4.1
2003 0.0 0.0 0.3 -0.8 0.0 0.1 -0.3 0.0 2.6 0.0 1.3 0.0 3.1
2004 0.0 1.0 0.3 0.0 0.0 -1.5 0.0 0.6 1.3 0.5 1.8 0.0 4.0
2005 0.5 0.5 -0.7 0.0 0.7 0.3 -0.1 -0.3 0.0 -0.1 1.3 0.0 2.1
2006 0.7 0.8 0.0 0.2 1.4 0.0 -0.9 0.6 0.0 -0.6 -0.7 0.0 1.4
2007 1.1 -0.1 0.0 0.3 0.2 0.0 0.5 0.0 1.7 -1.9 0.0 0.0 1.7
2008 1.8 0.0 3.2 1.7 0.0 0.0 -0.6 0.0 -2.2 0.0 -8.4 0.0 -4.8
2009 0.0 0.0 1.8 1.1 4.5 0.8 0.0 -1.9 -2.6 0.0 1.5 0.0 5.1
2010 1.4 1.2 0.8 0.0 -2.2 -0.7 0.0 3.7 0.3 0.0 2.6 0.0 7.1
2011 1.6 -2.1 0.8 0.0 -3.0 1.8 -0.7 -1.6 0.0 -3.0 -0.3 0.0 -6.4
2012 1.4 0.5 0.0 0.4 -2.9 0.0 -0.8 0.0 0.2 1.8 0.0 0.0 0.4
2013 1.1 -0.3 -1.2 -1.4 0.0 1.1 1.9 0.0 0.8 0.6 0.0 0.0 2.5
2014 0.0 0.0 0.7 -0.2 0.0 0.7 0.0 0.0 -1.8 0.0 -1.2 0.0 -1.9
2015 0.0 0.0 -0.7 1.0 0.2 0.5 0.0 -2.9 -0.1 0.0 0.4 0.0 -1.6
2016 -0.2 2.2 0.6 0.0 0.1 0.3 -0.2 0.2 0.0 -0.8 0.4 0.0 2.5
2017 -0.2 1.6 0.0 -0.1 0.8 0.0 -0.2 0.1 0.0 -0.2 -1.1 0.0 0.7
2018 -0.5 -1.8 0.0 -0.2 1.2 0.0 -0.9 0.0 0.7 1.6 0.0 0.0 0.0
2019 0.3 0.5 1.9 -1.0 0.0 0.6 -1.5 0.0 -2.1 1.8 0.0 -0.2 0.1

Row

Rolling Performance Chart

Snail Trail Chart